Yep – the link above covers that really well, the .ape are typically audio tracks that you can convert to .bin then merge back into a single .bin that the .cue file then has pointers to the various audio files.
Here is an example of the WipeOut2097 cue file pointing to where the audio is in the single .bin file: http://pastebin.com/raw/NaaPNrnh
Takes about 20min to get your head around it the first time, but when youve done it once its quick and easy to run through it for lots of games (or at least the games that have embedded audio tracks).